While there exists numerous studies on the macroeconomic effects of oil and commodity shocks, the literature is quite silent on the impact of macroeconomic uncertainty on oil and commodity prices and, especially, on their volatility. This paper tackles this issue through the estimation of a...

Global economic activity is surrounded by increasing uncertainties from various sources. In this paper, we focus on commodity prices and estimate a global commodity uncertainty factor by capturing comovement in volatilities of major agricultural, metals and energy commodity markets through a...

We estimate a global commodity uncertainty factor by capturing comovement in volatilities of major commodity markets through a group-specific Dynamic Factor Model. Then, by computing impulse response functions using a Structural VAR model, we find that an increase in the common commodity price...